Infinite dimensional affine term structure models under incomplete information

DOI10.6094/UNIFR/14218MaRDI QIDQ4601039zbMATH OpenFDO

Authors Weijun Yu

Publication date 18 January 2018

Full work available at URL http://d-nb.info/1150643404/34, http://nbn-resolving.de/urn:nbn:de:bsz:25-freidok-142189

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales and classical analysis (60G46) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• A filtered no arbitrage model for term structures from noisy data
• A finite-dimensional filtering of infinite-dimensional diffusion processes
• scientific article; zbMATH DE number 4061124
• On filtering equations in infinite dimensions
• Nonlinear filtering in models for interest-rate and credit risk

Cited in

(5)

• Infinite dimensional affine processes
• scientific article; zbMATH DE number 1642332 (Why is no real title available?)
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Finite-rank approximation of affine processes on positive Hilbert-Schmidt operators
• On the mean field theory of ensemble Kalman filters for SPDEs

This page was built for publication: Infinite dimensional affine term structure models under incomplete information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601039)